ts-models-ARCH1

ARCH1

Returns a simulated time series $(Y_t)$ that fulfills the following equation:
$$Y_t = Z_t \sigma_t, \quad \sigma_t^2 = a_0 + a_1 Y_{t-1}^2 + \epsilon_t$$
where $a_0$ and $a_1$ are parameters and $\epsilon_t$ is
independent white noise with marginal distribution specified by the
parameter <code>innov</code>.

Methods to determine, smooth and plot quantile periodograms for
univariate and multivariate time series. See Kley (2016) <doi:10.18637/jss.v070.i03>
for a description and tutorial.

Tobias Kley

quantspec

Quantile-Based Spectral Analysis of Time Series

Stefan Birr

ts-models-ARCH1 function

<dl><dt>n</dt>
<dd>length of the time series to be returned</dd>
<dt>a0</dt>
<dd>parameter</dd>
<dt>a1</dt>
<dd>parameter</dd>
<dt>overhead</dt>
<dd>an integer specifying the ``warmup'' period to reach an
approximate stationary start for the times series</dd>
<dt>innov</dt>
<dd>a function with one parameter <code>n</code> that yields <code>n</code>
independent pseudo random numbers each time it is called.</dd></dl>

Arguments

Simulation of an ARCH(1) time series. — ts-models-ARCH1

<dl>

<dt>n</dt>
<dd>length of the time series to be returned</dd>


<dt>a0</dt>
<dd>parameter</dd>


<dt>a1</dt>
<dd>parameter</dd>


<dt>overhead</dt>
<dd>an integer specifying the ``warmup'' period to reach an
approximate stationary start for the times series</dd>


<dt>innov</dt>
<dd>a function with one parameter <code>n</code> that yields <code>n</code>
independent pseudo random numbers each time it is called.</dd>

</dl>

ts-models-ARCH1: Simulation of an ARCH(1) time series.

Description

Usage

Value

Arguments

Examples